APAKAH JANUARY EFFECT TERJADI DI TAHUN 2019?

Woro Hestiningsih, Khanifah Khanifah, Pancawati Hardiningsih

Abstract


Efficient market hyphotesis is still an interesting debate, because there are still pros and cons among practitioners and academics in finance. One market anomaly that is contrary to the theory of efficient capital markets is the January effect or year-end effect is one of the effects on a calendar that is small capitalized stocks tend to rise in price in January. This study aims to determine the effect of the January effect on abnormal return and trading volume activity on LQ45 companies listed on the Indonesia Stock Exchange. Analysis using one way anova shows that abnormal returns occur in the January effect phenomenon while the January effect does not occur in trading volume.

Keywords


January Effect, Abnormal Return, Trading Volume Activity

Full Text:

PDF

References


Ahmad, Z., & Hussain, S. (2001). KLSE Long Run Overreaction and The Chinese New Year Effect. Journal of Business Finance and Accounting, Vol. 28, p.1-2.

Andreas, & Daswan, R. (2011). January Effect pada Perusahaan LQ-45 Bursa Efek Indonesia 2003-2008. Jurnal Ekonomi, Vol. 19(No. 3), 11–21.

Darmadji, T., & Fakhruddin, H. . (2001). Pasar Modal Di Indonesia. Jakarta: Salemba Empat.

Easterday, K. S. P., & Stephan, J. (2006). “The Declining January Effect? An Examination of Monthly Returns for Firms Trading on NYSE, AMEX, NASDAQ.” Journal of Financial Economics.

Fitriyani, I., & Sari, M. M. R. (2013). Analisis January Effect Pada Kelompok Sahma Index LQ-45 Di Bursa Efek Indonesia Tahun 2009- 2011. E-Jurnal Akuntansi Universitas Udayana 4.2, 421–438.

Ghozali, I. (2015). Aplikasi Analisis Multivariate dengan Program IBM SPSS 23. Semarang: Badan Penerbit Universitas Diponegoro.

Husnan, S. (2010). Manajemen Keuangan Teori dan Penerapan (Keputusan Jangka Panjang) (Edisi 4). Yogyakarta: BPFE.

Jogiyanto. (2013). Teori Portofolio dan Analisis Investasi (Edisi 7). Yogyakarta: BPFE.

Jorion, R. A. H., & Philippe. (1996). The January Effect: Still There after All These Years. Financial Analysts Journal, Vol. 52(No. 1), 27–31.

Kadir, S., & Kewal, S. S. (2014). Fenomena January Effect Di Bursa Efek Indonesia (Studi Pada Perusahaan Yang Terdaftar di LQ45 Periode 2010-2013). Jurnal Keuangan Dan Bisnis, Vol. 12(No. 1).

Kamaludin. (2010). Bagaimana Keberadaan January Effect di Bursa Asia. Trikonomika, Vol. 9(No. 1), 1–10.

Lorraine, D. P., & Sewell, P. (2007). The Key To Employability: Developing A Practical Model of Graduate Employability. Education and Training, Vol. 49(No. 4), 227–289.

Mardhiyah, S., & Herawati, J. (2012). Pengaruh Bulan Perdagangan Terhadap Return Saham : Pengujian January Effect di Indeks Harga Saham Liquidity 45 (Studi pada perusahaan sektor keuangan perbankan yang tercatat di LQ45 selama periode 2004-2012). Jurnal Ilmiah Mahasiswa Fakultas Ekonomi Dan Bisnis, Vol. 2(No. 1).

Pompian, M. (2006). Behavioral Finance and Wealth Management – How to Build Optimal Portfolios That Account for Investor Biases. Financial Markets and Portfolio Management, 21(issue 4), 491–492.

Pradnyaparamita, W., & Rahyuda, N. M. H. (2017). Pengujian Anomali Pasar January Effect Pada Perusahaan LQ45 Di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, Vol. 6(No. 7), 3513–3539.

Putra, D. C., & Kurniawan, D. (2013). Analisis January Effect Pada Saham Perusahaan LQ-45 Di Bursa Efek Indonesia. Jurnal MAKSIPRENEUR, Vol. II(No. 2), 65–79.

Sari, F. A., & Ardhani, S. E. (2014). Analisis January Effect Di Pasar Modal Indonesia. E-Jurnal Akuntansi, Vol. 6(No. 2).

Tandelilin, E. (2001). “Analisis Investasi dan Manajemen Risiko” (Edisi 1). Yogyakarta: BPFE.

Yoga. (2010). Analisis Fenomena January Effect Terhadap Return Pasar Di Bursa Efek Indonesia. Riset Manajemen Dan Akuntansi, Vol. 1(No. 2).




DOI: http://dx.doi.org/10.32497/akunbisnis.v4i1.2660

Refbacks

  • There are currently no refbacks.


StatCounter - Free Web Tracker and Counter

View My Stats